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1 1 Memo on the 2012 Gains Made by Jp Morgan Thanks to the « London 1 Memo on the 2012 gains made by Jp Morgan thanks to the « London Whale » event Introduction It will be one thing to show that the bank did make huge gains right when the “London Whale” event surged. Still it could have been a coincidence. It is another thing to prove that those gains were done thanks to this “London Whale-Loss at CIO” event specifically. The suspicion then would be easy if that was a crime novel: “see who profits from the crime” right? Beware of the smokes and mirrors now… It would be again one success to show what the close connection was between the CIO loss and the JMorgan massive gains. It would be quite another achievement to show that the bank top executives did act so that the loss at CIO would be as big as possible on well targeted positions. Even then, once this fact is ascertained, this would not prove that the bank senior management alone deliberately wanted to crash the CIO so scandalously. It would even less suggest that the bank was the one that misled investors and the markets on the way…. If the bank executives actually did so then and “in hindsight” too, they certainly bear a huge responsibility…. They might not be alone in that case though. Yet even if that had happened, it may still be possible that this course of events had indeed run out of their control and they had just tried their very best to save the bank here. And one must wonder how the regulators would have missed “that” too at the time given the intense scrutiny that they would profess with regards to their subsequent investigations. The bank executives may have been heroes actually for the country or the markets or both, acting as per the “superior interest of the nation” that was being dictated to them…. The purpose of this document is meant to address those points as granularly as possible. In particular the emphasis will be placed on the fact that this loss at CIO was under full control and profitable for the bank right through the events themselves. Some things indeed went out of control around Iksil’s communications and Drew’s reactions among other things. Not the least, the bank created as many distractions as possible for the public while observers tried to understand how profitable or un-profitable the whole operation had been. Carl Levin loudly complained that the light had not been made at all on the matter in September 2013. This conclusion of Levin prevails in September 2017 actually. Is it too late? This document may sound very “technical” from the start. It is needed unfortunately so in order to reconcile the facts with the accounting ledgers of the bank and dissolve the crowd of decoys that had been planted here on the front stage all along. For the sake of completeness the reader will first find below the many topics that have been analyzed. Yet, on what follows, not all of those items will be developed as otherwise the document would have taken really hundreds of pages. So there will be this quick “summarized plan” for the experts to see the overall framework that led to this memorandum on the gains that JpMorgan did make in the course of the “London Whale” event. Next there will be a detailed description of what happened and how this combined with key inferences to lead to a salient conclusion. The reader next should usefully read the “Var History” document. Thus a full picture will be accessible as to the last key point that is to determine whether the bank top executives did construct all this manipulation on purpose, aside from the bits and pieces that went out of their control in the process as they say. Summarized Plan: the essentials (they will not be all depicted here) 1- How to read through the 10-Q and 10-K reports? a. ‘identical underlying’, Gross amounts, netted amounts, ‘fair value’, ‘carrying value’ i. What is audited (net interest income) and what is not audited (trading related income) 1. Main reference tables present in the 10-Q reports a. GCB, DCM, CIO, treasury, liquidity reserve (not developed much) i. Mark to market, Measuring Fair value and fair value election 1 2 2- What is the actual bonanza brought up by the “London whale” event? a. Clearing the legend: Table on gross P&L balances i. Tangible equity history: the Ariane Thread since 1999 1. SFAS107 history and “other collateral”: the root cause for the scandal a. PWC vs JPM: the ongoing mismatch that cleared in 2012 i. Cost of assets and liabilities that eased in 2012 1. “other assets” that shrank in 2012 3- How did the loss spread into the book in 2012? In a well organized way actually a. Effect of Dec 15th 2011, next Feb 9th, March 12th, April 6th, May 10th 2012 i. Balance of losses during H1 2012: the trades were scrutinized 1. Drift of IG9 forward spread in 2012: the trades were well executed overall a. Long term history of skew: the trades were sensible i. Simulated Recovery: the trades were NOT flawed 4- How did the bank report the event itself? a. The actual $6 billion loss attribution: 100% senior management subjectivity i. RFS: complete distraction 1. Deferred tax “benefit” trick: what a unique reporting error a. Maiden Lane: playing with calendars i. Provisions: increased not released 5- Conclusion: the bank made huge gains, acted on purpose all along and hid them as much as possible a. The year 2012 vs the others….A damn good year! i. Initial descriptions of the firm: misleading at best 1. Restated numbers (through the restatement): what about 2011 then? a. Final comment on descriptions and restatement; that was a “tempest in a teapot” when all is told… Developed plan now…… 1- How to read through the 10-Q and 10-K reports? a. ‘identical underlying’, Gross amounts, netted amounts, ‘fair value’, ‘carrying value’ The reference document here is the 10-Q report filed on may 10th 2012 for the first quarter of 2012 The very start of this document is tough but necessary to grasp the picture of the backbone of the “London Whale” scandal. These are just 4 lines right below here that one should really take the time to understand…..This will open the way to address the question: “how did the performance of the “tranche book” of CIO (the SCP apparently for the bank) enter the firm-wide valuation process?”. 4 Stages will be shortly pictured on the follow: the “gross notional” step, the “netting” step, the “risk modeling based on identical underlying” step, the ALCO or “senior management” step. These four lines are describing the root of all the scandal that will surface under the banner “the London Whale”. The content will certainly look quite abstract and the reader is invited to revert as often as necessary in order to see that those 4 lines describe the “skew risk”. The “skew risk” is what bothered Dimon and the regulators as early as 2005. It had paved the way of JpMorgan the legendary Investment Bank for a decade already. It is the risk that is inherent to the CDS markets from their very start back in 1994. It is what will induce the creation of CIO in 2005. It is what will spark the birth of the future “tranche book” within CIO in 2006.Yet this big book could NOT have a name. This was also due to the very nature of the “skew risk” that is actually described opaquely in these 4 lines below (legal documentation issue). This “skew risk” is ALSO what will be the common denominator behind just all the hedging strategies 2 3 that will be deployed through the “tranche book” of CIO since 2007. It is also the “skew risk” that will spark the financial crisis in 2008 predictably so. It is what will prompt the “exotic credit wind down” plan of Dimon in 2010. It is what will delay for few more months in 2012 the quite seamless transfer of the “tranche book” towards the IB as a preliminary step to finalize this “wind down” plan. This delay here and the skew were known as such by all the regulators in late 2011. It is the price of this “skew risk” through the IG9 10yr index in 2012 that will determine the instant reported “tangible capital gain” that the firm will record starting in August 2012. The “skew risk” while being so truly central is nevertheless the risk that the bank and all the regulators will keep away from the public sight all along those years. One has just these basic 4 lines below….. There is just one Keyword in the “London Whale” scandal that matters : “Identical underlying” : ”(c) Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold. “ The table above shows that about $3 trillion of “credit derivative” (or CDS for the sake of simplicity) protection is purchased on one type say “A” of CDS and an almost equivalent amount of $3 trillion of CDS protection is sold on a different CDS type called say “B”. These $3 trillion exposures are to sit one in front of the other every day at JpMorgan. They are NOT to be “fungible” in principle, ie to be collapsed altogether in the form of a much reduced net exposure any time soon in real life.
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